The risk of preterm delivery often means that the fetus will be exposed to exogenous synthetic glucocorticoids to accelerate fetal lung maturation, but effects on other organs, particularly the brain, are not understood. The neurosteroid allopregnanolone (AP) is a GABAA receptor agonist that influences fetal brain development and has neuroprotective properties. In this study we determined the impact of maternal glucocorticoid (betamethasone) administration on brain development and AP synthesis in preterm fetal sheep. Pregnant ewes underwent surgery at 105 days gestation for implantation of fetal catheters. Ewes received either betamethasone (BM; 11.4 mg; n = 10) or vehicle (saline; n = 5) by i.m injection on days five (BM1) and six (BM2) following surgery. Five fetuses of the BM treated ewes received an infusion of alfaxalone (20 mg) over 48 h commencing 30 min prior to BM1. All animals were euthanased on day 7, and the fetal brains collected to determine AP concentrations and histopathology. BM significantly reduced AP levels in the fetal brain and placental cotyledons, and also in fetal plasma without altering progesterone concentrations. There was a significant decrease in the number of myelinating cells in subcortical white matter, but no change to total oligodendrocyte number. Co-administration of the AP analogue analog alfaxalone with BM prevented this change in MBP expression. BM, given at a dose clinically prescribed to accelerate lung maturation, adversely affects neurosteroid levels in the preterm fetal brain, and affects the maturational profile of white matter development; these effects were mitigated by the co-administration of alfaxolone.